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Chaika Trading : Commodity Carry Program

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Year-to-Date
N / A
Jan Performance
-1.85%
Min Investment
$ 250k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
18.54%
Sharpe (RFR=1%)
0.19
CAROR
2.97%
Assets
$ 6.3M
Worst DD
-27.72
S&P Correlation
0.15
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Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Jan Qtr 2020 1yr 3yr 5yr 10yr Since
2/2013
Commodity Carry Program -1.85 - - - - -27.33 - 12.42
S&P 500 1.79 - - - - 73.64 - 145.46
+/- S&P 500 -3.64 - - - - -100.97 - -133.03

Strategy Description

Summary

Chaika Commodity Carry Program. Commodity futures only. Always short as many markets as long. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 250k
CTA Max Funding Factor 2.00
Management Fee 0%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 1000 RT/YR/$M
Avg. Margin-to-Equity 13%
Targeted Worst DD 11.00%
Worst Peak-to-Trough -11.00%
Sector Focus Agricultural Traders

Holding Periods

Over 12 Months 13.00%
4-12 Months 21.00%
1-3 Months 33.00%
1-30 Days 33.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Grains
31.00%
Energy
25.00%
Softs
25.00%
Livestock
13.00%
Industrial Metals
6.00%
Composition Pie Chart

Summary

Chaika Commodity Carry Program. Commodity futures only. Always short as many markets as long.

Investment Strategy

Choose long and short positions through cross-sectional analysis of term-structures. Track 16 markets, hold positions in 6-12 markets.

Risk Management

Attempt equal risk within each market. Attempt aggregate portfolio volatility of 20%

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Monthly Annual
Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-27.72 14 - 11/1/2015 1/1/2017
-11.04 7 6 1/1/2014 8/1/2014
-6.47 1 1 5/1/2015 6/1/2015
-6.04 1 2 8/1/2015 9/1/2015
-5.54 3 1 1/1/0001 4/1/2013
-1.39 1 2 8/1/2013 9/1/2013
-0.62 1 2 2/1/2015 3/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
24.37 4 5/1/2013 8/1/2013
19.17 4 10/1/2013 1/1/2014
14.39 1 2/1/2015 2/1/2015
13.83 2 7/1/2015 8/1/2015
8.56 1 9/1/2014 9/1/2014
8.37 1 2/1/2016 2/1/2016
6.52 2 10/1/2015 11/1/2015
5.18 1 5/1/2014 5/1/2014
3.10 1 5/1/2015 5/1/2015
2.95 1 5/1/2016 5/1/2016
1.91 1 11/1/2016 11/1/2016
0.90 1 11/1/2014 11/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-20.64 5 6/1/2016 10/1/2016
-9.61 3 2/1/2014 4/1/2014
-9.19 2 12/1/2016 1/1/2017
-9.01 2 12/1/2015 1/1/2016
-6.47 1 6/1/2015 6/1/2015
-6.43 3 6/1/2014 8/1/2014
-6.04 1 9/1/2015 9/1/2015
-5.85 1 10/1/2014 10/1/2014
-5.54 3 2/1/2013 4/1/2013
-3.05 2 3/1/2016 4/1/2016
-1.67 2 12/1/2014 1/1/2015
-1.39 1 9/1/2013 9/1/2013
-0.62 2 3/1/2015 4/1/2015
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods48.0046.0043.0037.0031.0025.0013.00
Percent Profitable41.6754.3560.4775.6880.6584.0084.62
Average Period Return0.381.463.778.4512.8519.5124.94
Average Gain5.307.4511.5015.6419.0624.3732.32
Average Loss-3.25-5.66-8.06-13.94-13.07-6.04-15.66
Best Period14.3918.3424.7538.0637.5049.8957.41
Worst Period-10.28-15.41-19.41-25.96-26.48-9.73-18.57
Standard Deviation5.358.1612.0316.0514.9017.2426.34
Gain Standard Deviation3.755.357.4510.307.2914.1221.01
Loss Standard Deviation3.044.156.887.478.843.844.11
Sharpe Ratio (1%)0.060.150.270.460.761.010.83
Average Gain / Average Loss1.631.321.431.121.464.042.06
Profit / Loss Ratio1.211.572.183.496.0821.2011.35
Downside Deviation (10%)3.545.407.859.989.787.0713.45
Downside Deviation (5%)3.354.846.838.147.333.487.45
Downside Deviation (0%)3.314.706.587.706.762.766.25
Sortino Ratio (10%)-0.010.040.170.350.541.310.68
Sortino Ratio (5%)0.090.250.480.911.555.022.94
Sortino Ratio (0%)0.120.310.571.101.907.083.99

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

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